In class exos

Q1
F= 50
C= 2.14%
d 73
A 360

P= 57.9370

Q2
yield to maturity (continuous compounding)
date 0 t T1 T2 T3 T4
0 0.20277778 0.5 1 1.5 2
y= -0.4835%
Z(t,T_i) 1.001 1.004 1.006 1.009
CF 0.535 0.535 0.535 0.535
CF x Z(t,Ti) 0.536 0.537 0.538 0.540
Price discount 57.937
diff 8.527E-05

yield to maturity (2 compounding)

date 0 t T1 T2 T3 T4
0 0.20277778 0.5 1 1.5 2
y= -0.4830%
Z(t,T_i) 1.001 1.004 1.006 1.009
CF 0.535 0.535 0.535 0.535
CF x Z(t,Ti) 0.536 0.537 0.538 0.540
Price discount 57.937
diff 0.000
 T5 T6 T7 T8 T9 T10 T11
2.5 3 3.5 4 4.5 5 5.5

1.011 1.014 1.016 1.019 1.021 1.023 1.026

0.535 0.535 0.535 0.535 0.535 0.535 0.535
0.541 0.542 0.544 0.545 0.546 0.548 0.549

T5 T6 T7 T8 T9 T10 T11
2.5 3 3.5 4 4.5 5 5.5

1.011 1.014 1.016 1.019 1.021 1.023 1.026

0.535 0.535 0.535 0.535 0.535 0.535 0.535
0.541 0.542 0.544 0.545 0.546 0.548 0.549
 T12
6

1.028
50.535
51.972

T12
6

1.028
50.535
51.972
i 0 1 2 3 4 5
Ti 0.5 1 1.5 2 2.5
r(o,T_i) 2.7605% 2.7141% 2.7471% 2.8125% 2.8884%

Q1
Z(0,T_i) 0.9863 0.9732 0.9596 0.9453 0.9303

Q2
r4(0,T_i) 2.7700% 2.7233% 2.7566% 2.8224% 2.8989%

Q3
c= 2.906%

Q4
c 3.14%
C_semiann 1.570
Bond CF 1.570 1.570 1.570 1.570 101.570
CF x df 1.548 1.528 1.507 1.484 94.494
P= 100.5614

Q5
y= 2.90549%
Z(0,Ti) 0.986 0.972 0.958 0.944 0.930
CF x Z(0.Ti) 1.55 1.53 1.50 1.48 94.50
P 100.56
diff 0.000